beyondWhittle

MaRDI QIDQ43445swMATHCRANFDO

Authors Claudia Kirch, Yifu Tang, Matthew C. Edwards, Renate Meyer, Alexander Meier

Last update 31 May 2023

Copyright license GNU General Public License

Software version identifier 1.1.3, 0.17, 0.18.1, 1.0, 1.1.1, 1.1.2, 1.1, 1.2.0

Official website https://cran.r-project.org/web/packages/beyondWhittle/index.html

Source code repository https://github.com/cran/beyondWhittle

Description

Implementations of Bayesian parametric, nonparametric and semiparametric procedures for univariate and multivariate time series. The package is based on the methods presented in C. Kirch et al (2018) <doi:10.1214/18-BA1126>, A. Meier (2018) <https://opendata.uni-halle.de//handle/1981185920/13470> and Y. Tang et al (2023) <arXiv:2303.11561>. It was supported by DFG grants KI 1443/3-1 and KI 1443/3-2.

Cites work

• Beyond Whittle: Nonparametric Correction of a Parametric Likelihood with a Focus on Bayesian Time Series Analysis
• Bayesian nonparametric spectral analysis of locally stationary processes

Described by source

• Beyond Whittle: nonparametric correction of a parametric likelihood with a focus on Bayesian time series analysis

Cited in

(11)

• Bayesian nonparametric analysis of multivariate time series: a matrix gamma process approach
• Bayesian nonparametric modelling of the link function in the single-index model using a Bernstein–Dirichlet process prior
• Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain
• Bayesian Spectral Modeling for Multiple Time Series
• bsplinePsd
• BayesWave
• BayesSpec
• Bayesian spectral density estimation using P-splines with quantile-based knot placement
• psd
• Bayesian nonparametric spectral density estimation using B-spline priors
• Adaptive Bayesian Time–Frequency Analysis of Multivariate Time Series

This page was built for software: beyondWhittle